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Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
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A moment-based analytic approximation of the risk-neutral density of American options
Arismendi Zambrano, Juan Carlos; Prokopczuk, Marcel - In: Applied mathematical finance 23 (2016) 5/6, pp. 409-444
Persistent link: https://www.econbiz.de/10011704266
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Short positions, rally fears and option markets
Eberlein, Ernst; Madan, Dilip B. - In: Applied mathematical finance 17 (2010) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10003975322
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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
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An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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Valuation of performance-dependent options
Gerstner, Thomas Stefan; Holtz, Markus - In: Applied mathematical finance 15 (2008) 1/2, pp. 1-20
Persistent link: https://www.econbiz.de/10003751107
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Robust hedging and pathwise calculus
Tikanmäki, Heikki - In: Applied mathematical finance 20 (2013) 3/4, pp. 287-303
Persistent link: https://www.econbiz.de/10010187664
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Detecting and repairing arbitrage in traded option prices
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 27 (2020) 5, pp. 345-373
Persistent link: https://www.econbiz.de/10012501620